I think the songs are supposed to stay loaded. This would seem to be the whole point of the playlist. It needs the songs loaded so as to make them instantly available to play. And I don't think the songs take up that much memory, and now a days we all have a lot under the hood. Most of a CWP file is audio which is not really loaded. The only thing that would hog would be a lot of VST's or samples. So if you plan your projects for live use they can be set to use very little memory.
I too am staying with using Wave files until I get the playlist sorted out.
Note: when I record our band I have had 25 CWP files open with no problems at all. They are 12 tracks of audio and 1 midi track. I also have pre sets with a few effects in bins. All on a windows 7 64 bit 2008 Sony laptop only 8 gigs of RAM.